Package com.opengamma.financial.security.option

Examples of com.opengamma.financial.security.option.ExerciseType

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  //-------------------------------------------------------------------------
  @Override
  public ManageableSecurity[] extractSecurities() {
    FxOptionTrade trade = getTrade();
    FxOptionCalculator calculator = new FxOptionCalculator(trade, trade.getNotional(), trade.getNotionalCurrency());
    ExerciseType exerciseType = trade.getExerciseType().convert();
    ManageableSecurity security = trade.getSettlementType() == SettlementType.PHYSICAL ?
        new FXOptionSecurity(
            calculator.getPutCurrency(),
            calculator.getCallCurrency(),
            calculator.getPutAmount(),
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  private BondFutureOptionSecurity createBondFutureOptionSecurity() {
    final String tradingExchange = exchange();
    final String settlementExchange = exchange();
    final Expiry expiry = expiry();
    final ExerciseType exerciseType = exerciseType();
    final ExternalId underlyingIdentifier = createBondFutureSecurity().getExternalIdBundle().getExternalId(_security);
    final double pointValue = 1000;
    final Currency currency = currency();
    final double strike = 1.25;
    final OptionType optionType = optionType();
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  private CommodityFutureOptionSecurity createCommodityFutureOptionSecurity() {
    final String tradingExchange = exchange();
    final String settlementExchange = exchange();
    final Expiry expiry = expiry();
    final ExerciseType exerciseType = exerciseType();
    final ExternalId underlyingIdentifier = ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "US0003M Index");
    final double pointValue = 0;
    final Currency currency = currency();
    final double strike = 0;
    final OptionType optionType = optionType();
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  private EquityBarrierOptionSecurity createEquityBarrierOptionSecurity() {
    final OptionType optionType = optionType();
    final double strike = 0;
    final Currency currency = currency();
    final ExternalId underlyingId = createEquitySecurity().getExternalIdBundle().getExternalId(ExternalSchemes.BLOOMBERG_TICKER);
    final ExerciseType exerciseType = exerciseType();
    final Expiry expiry = expiry();
    final double pointValue = 0;
    final String exchange = exchange();
    final BarrierType barrierType = barrierType();
    final BarrierDirection barrierDirection = barrierDirection();
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  }

  private EquityIndexDividendFutureOptionSecurity createEquityIndexDividendFutureOptionSecurity() {
    final String exchange = exchange();
    final Expiry expiry = expiry();
    final ExerciseType exerciseType = exerciseType();
    final ExternalId underlyingIdentifier = ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "US0003M Index");
    final double pointValue = 0;
    final boolean margined = bool();
    final Currency currency = currency();
    final double strike = 0;
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  private EquityIndexOptionSecurity createEquityIndexOptionSecurity() {
    final OptionType optionType = optionType();
    final double strike = 0;
    final Currency currency = currency();
    final ExternalId underlyingId = ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "AAPL US Equity");
    final ExerciseType exerciseType = exerciseType();
    final Expiry expiry = expiry();
    final double pointValue = 0;
    final String exchange = exchange();
    final EquityIndexOptionSecurity security = new EquityIndexOptionSecurity(optionType, strike, currency, underlyingId, exerciseType, expiry, pointValue, exchange);
    security.addExternalId(ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "AAPL US 10/22/11 C365 Equity"));
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  private EquityOptionSecurity createEquityOptionSecurity() {
    final OptionType optionType = optionType();
    final double strike = 0;
    final Currency currency = currency();
    final ExternalId underlyingIdentifier = createEquitySecurity().getExternalIdBundle().getExternalId(ExternalSchemes.BLOOMBERG_TICKER);
    final ExerciseType exerciseType = exerciseType();
    final Expiry expiry = expiry();
    final double pointValue = 0;
    final String exchange = exchange();
    final EquityOptionSecurity security = new EquityOptionSecurity(optionType, strike, currency, underlyingIdentifier, exerciseType, expiry, pointValue, exchange);
    security.addExternalId(ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "AAPL US 10/22/11 C365 Equity"));
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    final double putAmount = 0;
    final double callAmount = 0;
    final Expiry expiry = expiry();
    final ZonedDateTime settlementDate = expiry.getExpiry();
    final boolean isLong = bool();
    final ExerciseType exerciseType = exerciseType();
    final FXOptionSecurity security = new FXOptionSecurity(putCurrency, callCurrency, putAmount, callAmount, expiry, settlementDate, isLong, exerciseType);
    store(security);
    return security;
  }
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  }

  private IRFutureOptionSecurity createIRFutureOptionSecurity() {
    final String exchange = exchange();
    final Expiry expiry = expiry();
    final ExerciseType exerciseType = exerciseType();
    final ExternalId underlyingIdentifier = createInterestRateFutureSecurity().getExternalIdBundle().getExternalId(_security);
    final double pointValue = 0;
    final boolean margined = bool();
    final Currency currency = Currency.USD; // currency(); // Only got a USD surface at the moment
    final double strike = 0;
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    final double putAmount = 0;
    final double callAmount = 0;
    final Expiry expiry = expiry();
    final ZonedDateTime settlementDate = expiry.getExpiry();
    final boolean isLong = bool();
    final ExerciseType exerciseType = exerciseType();
    final boolean deliveryInCallCurrency = bool();
    final NonDeliverableFXOptionSecurity security = new NonDeliverableFXOptionSecurity(putCurrency, callCurrency, putAmount, callAmount, expiry, settlementDate, isLong, exerciseType,
        deliveryInCallCurrency);
    store(security);
    return security;
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Related Classes of com.opengamma.financial.security.option.ExerciseType

  • com.opengamma.bbg.loader.EquityIndexDividendFutureOptionLoader
  • com.opengamma.bbg.loader.EquityIndexFutureOptionLoader
  • com.opengamma.bbg.loader.EquityIndexOptionLoader
  • com.opengamma.bbg.loader.EquityOptionLoader
  • com.opengamma.bbg.loader.SecurityLoader
  • com.opengamma.financial.analytics.model.equity.option.EquityVanillaBarrierOptionBlackFunction
  • com.opengamma.financial.fudgemsg.VolatilitySurfaceSpecificationFudgeBuilder
  • com.opengamma.integration.tool.portfolio.xml.v1_0.conversion.FxOptionTradeSecurityExtractor
  • com.opengamma.integration.tool.portfolio.xml.v1_0.conversion.ListedFutureOptionSecurityExtractor
  • com.opengamma.integration.tool.portfolio.xml.v1_0.conversion.ListedOptionSecurityExtractor
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